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Simulation and the Early Exercise Option Problem
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Simulation and the Early Exercise Option Problem (1997)Simulation and the Early Exercise Option …An explicit series approximation to the optimal exercise boundary of American put options (2009)An explicit series approximat…CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA (2007)CALCULATING THE EARLY EXERCIS…Pricing American-Style Derivatives with European Call Options (2006)Pricing American-Style Deriva…Monte Carlo analysis of convertible bonds with reset clauses (2004)Monte Carlo analysis of conve…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)CONVERTIBLE BOND PRICING MODELS (2013)Option pricing: A simplified approach (1979)The American Put Option Valued Analytically (1984)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Option pricing when underlying stock returns are discontinuous (1976)Pricing American-style securities using simulation (1997)COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS (2010)High-performance American option pricing (2016)
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  • 2009An explicit series approximation to the optimal exercise boundary of American put options39 cited
  • 2007CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA31 cited
  • 2004Monte Carlo analysis of convertible bonds with reset clauses29 cited
  • 2006Pricing American-Style Derivatives with European Call Options27 cited

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